Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0271
Annualized Std Dev 0.1724
Annualized Sharpe (Rf=0%) -0.1574

Row

Daily Return Statistics

Close
Observations 4464.0000
NAs 1.0000
Minimum -0.1647
Quartile 1 -0.0034
Median 0.0000
Arithmetic Mean -0.0001
Geometric Mean -0.0001
Quartile 3 0.0038
Maximum 0.2431
SE Mean 0.0002
LCL Mean (0.95) -0.0004
UCL Mean (0.95) 0.0003
Variance 0.0001
Stdev 0.0109
Skewness 0.6682
Kurtosis 89.2345

Downside Risk

Close
Semi Deviation 0.0079
Gain Deviation 0.0088
Loss Deviation 0.0100
Downside Deviation (MAR=210%) 0.0126
Downside Deviation (Rf=0%) 0.0080
Downside Deviation (0%) 0.0080
Maximum Drawdown 0.6126
Historical VaR (95%) -0.0123
Historical ES (95%) -0.0251
Modified VaR (95%) NA
Modified ES (95%) NA
From Trough To Depth Length To Trough Recovery
2003-06-30 2020-03-18 NA -0.6126 4463 4209 NA

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2003 NA NA NA NA NA 0 0 0.8 1.1 -0.4 0 0.2 1.7
2004 -0.2 -0.2 0.4 0.8 0.2 0.1 0.7 -0.3 -0.1 0.4 1 0 2.7
2005 -0.1 0.3 0.8 -0.1 -0.2 -0.3 0 0.6 0.2 0.1 -0.3 -0.2 0.8
2006 -0.1 0.3 -0.5 0.2 0.3 0.8 -0.1 0.1 -0.2 0.3 0.3 0.4 1.8
2007 0.5 -0.2 0.5 -0.1 0 0.4 -1.7 1.4 0.1 0 1.3 1.8 4
2008 0.1 0.1 0.8 0.2 -0.1 -1.1 -0.3 0.2 -0.4 3.3 -4.5 2.8 0.9
2009 0 -0.5 -0.5 0.6 1.5 -0.3 1.5 -0.1 -1 -1.7 1.5 0.7 1.7
2010 1.1 0.7 0.3 0.1 0.1 -0.4 -0.4 0.7 0.6 0.3 -1.2 1.8 3.7
2011 1.1 0.2 0 0.3 -0.1 0.1 0.9 0.3 -1.9 -1.1 0 0.3 0
2012 0.7 0.3 -0.6 0.5 -0.7 0.4 0.6 0.6 1.2 0.9 0.1 0.7 4.7
2013 0.6 0.5 -0.5 0.2 -1.5 0.3 -1 0.7 0.8 -0.3 0.6 0.1 0.4
2014 0.1 0.4 0.1 0.1 0.1 -0.1 0.3 0.3 0.2 0.6 -0.3 -0.5 1.5
2015 0 0.4 0.8 0.3 -0.2 1.3 0.5 0.7 0.1 0.5 0.5 -0.1 5
2016 1 1 -0.1 1 0.5 -0.1 -1.3 -0.3 0.5 0 -0.2 0 1.9
2017 -0.2 -0.1 0.4 -0.4 0.1 -0.5 -0.2 0.7 0.2 0 0.9 0.5 1.3
2018 0.9 -0.1 0.6 0.4 -0.2 -0.2 0 -0.3 0.2 0.3 0.2 1 2.9
2019 0.9 0.3 0.8 0.3 -0.7 1.2 0.2 -0.2 0.4 -0.5 -0.2 0.6 3.1
2020 -0.2 -2.2 -4.7 -0.4 1.5 0.2 -0.7 2.1 1.1 0.2 1.2 0.8 -1.1
2021 1.1 0.7 0.4 NA NA NA NA NA NA NA NA NA 2.3

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 2003-06-25  20.0 SPY    97.5 -1.00e-2  -0.0398   0.0223    0.12  -3.00e-4   -0.343       NA <NA>     NA    NA       NA
2 2003-06-26  20.0 SPY    98.8  1.30e-2  -0.0122   0.0327    0.134  1.11e-2   -0.332       NA <NA>     NA    NA       NA
3 2003-06-27  20.0 SPY    97.7 -1.15e-2  -0.0179   0.0235    0.126 -1.78e-2   -0.339       NA <NA>     NA    NA       NA
4 2003-06-30  20   SPY    97.6 -3.00e-4  -0.008    0.007     0.152 -1.34e-2   -0.330       NA <NA>     NA    NA       NA
5 2003-07-01  20   SPY    98.5  9.20e-3   0.0001   0.0121    0.145  1.55e-2   -0.318       NA <NA>     NA    NA       NA
6 2003-07-02  20   SPY    99.8  1.26e-2   0.023    0.0207    0.132  5.05e-2   -0.318       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart